Do Hedge Funds Manage Their Reported Returns?

被引：82

作者：

Agarwal, Vikas ^{[2
]}

Daniel, Naveen D. ^{[3
]}

Naik, Narayan Y. ^{[1
]}

机构：

[1] London Business Sch, London NW1 4SA, England

[2] Georgia State Univ, Robinson Coll Business, Atlanta, GA 30303 USA

[3] Drexel Univ, LeBow Coll Business, Philadelphia, PA 19104 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2011年 / 24卷 / 10期

关键词：

G10; G19; G23; G30; EARNINGS MANAGEMENT; RISK; INCENTIVES; MARKET; PERFORMANCE; COMPENSATION; SEASONALITY; DISCRETION; MODEL; TAPE;

D O I：

10.1093/rfs/hhr058

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

For funds with high incentives and more opportunities to inflate returns, we find that (i) returns during December are significantly higher than returns during the rest of the year, even after controlling for risk in both the time series and the cross-section; and (ii) this December spike is greater than for funds with lower incentives and fewer opportunities to inflate returns. These results suggest that hedge funds manage their returns upward in an opportunistic fashion in order to earn higher fees. Finally, we find strong evidence that funds inflate December returns by underreporting returns earlier in the year but only weak evidence that funds borrow from January returns in the following year.

引用

页码：3281 / 3320

页数：40

共 54 条

[1] The performance of hedge funds: Risk, return, and incentives [J].